Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0155 |
| Annualized Std Dev | 0.2492 |
| Annualized Sharpe (Rf=0%) | 0.0622 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4252.0000 |
| NAs | 1.0000 |
| Minimum | -0.1719 |
| Quartile 1 | -0.0054 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0067 |
| Maximum | 0.2123 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0157 |
| Skewness | -0.8082 |
| Kurtosis | 27.1744 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0110 |
| Loss Deviation | 0.0142 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0118 |
| Downside Deviation (0%) | 0.0118 |
| Maximum Drawdown | 0.7520 |
| Historical VaR (95%) | -0.0216 |
| Historical ES (95%) | -0.0393 |
| Modified VaR (95%) | -0.0204 |
| Modified ES (95%) | -0.0204 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.7520 | 3369 | 339 | NA |
| 2007-07-13 | 2007-08-16 | 2007-10-09 | -0.2416 | 62 | 25 | 37 |
| 2004-06-07 | 2004-08-09 | 2004-12-28 | -0.1569 | 142 | 44 | 98 |
| 2006-05-11 | 2006-06-14 | 2006-10-24 | -0.1419 | 116 | 24 | 92 |
| 2006-12-18 | 2007-03-05 | 2007-04-09 | -0.1275 | 75 | 51 | 24 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | 0 | 0.1 | 1.8 | 1.2 | 2 | 1 | 0.9 | 0 | 0.6 | 7.7 |
| 2005 | 1.1 | -0.6 | 2 | 0.5 | 1.1 | 0.5 | 0.4 | 1.8 | -0.3 | 0.9 | 0.8 | 0 | 8.5 |
| 2006 | -0.2 | 0.9 | 0.5 | 0.6 | 1.8 | 1.2 | -0.3 | 0.5 | 0.8 | -0.2 | 0.3 | 1.8 | 8.1 |
| 2007 | 0.1 | -0.5 | 0.9 | -0.1 | 1.1 | 0.1 | -0.4 | 1.9 | 0.3 | -1.9 | 1.6 | 1.6 | 4.9 |
| 2008 | 1.6 | -1.3 | 2.8 | 0.6 | 0.2 | -0.3 | 0.3 | -0.6 | 1.1 | 3.7 | -6.8 | 3.7 | 4.6 |
| 2009 | -2.2 | -2.2 | 2.2 | 1.4 | 3.9 | 1.6 | 0.7 | -3.7 | -1.5 | -5.1 | 0.7 | -1 | -5.5 |
| 2010 | 1.7 | 1.2 | 0.6 | -0.5 | -1.1 | -1 | 0.4 | 2.5 | 1.1 | 0 | 1.5 | 0.1 | 6.5 |
| 2011 | 1.1 | -0.1 | 0.4 | 0.5 | -1.9 | 1.4 | -0.1 | -0.6 | -3 | -3 | 0 | 0.7 | -4.6 |
| 2012 | 1.3 | 0.6 | 0.4 | 0.5 | -2.6 | 2.7 | -0.4 | 0.6 | 0.6 | 1.4 | 0.3 | 1 | 6.5 |
| 2013 | 0.5 | 0.8 | -0.4 | -0.3 | -4.6 | 1.2 | 0.9 | -0.2 | 0.7 | 0.9 | 0.4 | -0.2 | -0.6 |
| 2014 | -0.7 | 0.5 | 0.5 | 0.4 | 0.3 | 0.3 | -0.7 | 0.4 | -1.2 | 1.9 | -0.6 | -1.7 | -0.8 |
| 2015 | -1 | 0 | 0.2 | 0 | -0.1 | 1.2 | 0.5 | -1.3 | 0.2 | 0 | 0.4 | -1.1 | -1 |
| 2016 | 1.1 | 1.9 | 0.6 | -0.5 | -0.1 | 0.3 | -0.7 | -0.6 | 0 | -0.5 | 0.1 | 0.1 | 1.7 |
| 2017 | 0.7 | 1.3 | -0.2 | 0.2 | 0.1 | 0.2 | 0.2 | 0.2 | 1 | -0.2 | -0.3 | 0.2 | 3.4 |
| 2018 | -0.5 | -1.1 | 0.4 | -0.1 | 0.4 | 0.2 | -0.3 | -0.3 | -0.2 | 1.9 | 0.4 | 1.2 | 2 |
| 2019 | 0.3 | 0.7 | 0.9 | 0 | -1.3 | -0.4 | -0.4 | -0.5 | -0.1 | 0 | -0.9 | 0.1 | -1.7 |
| 2020 | -1.2 | -2.2 | -8.1 | -2.8 | 0.3 | 0.1 | -0.1 | 0 | 0.4 | -1.2 | 2 | 0.2 | -12.1 |
| 2021 | 1.4 | 2.3 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-04-28 20 SPY 113. -0.0129 0.0013 0.002 -4.90e-3 0.229 -0.0771 -0.169 <NA> NA NA NA
2 2004-04-29 20 SPY 112. -0.0088 -0.0212 -0.0101 -1.45e-2 0.217 -0.0802 -0.181 <NA> NA NA NA
3 2004-04-30 20 SPY 111. -0.0078 -0.0297 -0.0189 -2.22e-2 0.207 -0.0991 -0.192 <NA> NA NA NA
4 2004-05-03 20.0 SPY 112. 0.0107 -0.018 -0.0143 -1.60e-2 0.203 -0.0935 -0.172 <NA> NA NA NA
5 2004-05-04 20 SPY 112. -0.0008 -0.0196 -0.0225 -1.51e-2 0.205 -0.109 -0.166 <NA> NA NA NA
6 2004-05-05 20 SPY 113. 0.0064 -0.0004 -0.0216 -6.00e-4 0.201 -0.0971 -0.154 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
